Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach

Autor:	Cheima Gharib, Besma Hkiri, Azza Bejaoui, Hashem Abdullah AlNemer
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	Emerging stock markets H1-99 Multidisciplinary Market efficiency Science (General) Emerging markets Monetary economics Social sciences (General) Adaptive market hypothesis Politics Q1-390 Arab spring Economics MF-DFA WTMM Stock (geology) Research Article Multifractality
Zdroj:	Heliyon, Vol 7, Iss 9, Pp e08028-(2021) Heliyon
ISSN:	2405-8440
Popis:	In this paper, we attempt to investigate the efficiency of emerging stock markets by considering the advent of dramatic country-specific events. In other words, we analyze and rank the weak-form efficiency levels of emerging stock markets based on a multi-step approach. Our findings support evidence of multifractality and anti-persistent movements of returns, implying a departure from the weak-form efficiency hypothesis. We also show that the political events adversely affect the efficiency degree of most markets. The empirical results clearly display the dynamic behavior of market efficiency. These findings are in line with the implications of the Adaptive Market Hypothesis. Market efficiency, MF-DFA, Arab spring, Emerging markets, Multifractality, WTMM, Adaptive market hypothesis.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3d759bd67b831655f53a491f8523f8e7 http://www.sciencedirect.com/science/article/pii/S2405844021021319 Zobrazit plný text záznamu